Are there any health risks associated with eating soft cheese?

Yes. The primary concern is Listeria monocytogenes, a pathogenic bacteria that can cause serious illness in humans. Seniors, pregnant women, fetuses, babies, and people with compromised immune systems are especially vulnerable to listeria.
 
The good news is that pasteurization kills listeria. Do not eat soft cheese unless the label indicates it is made of pasteurized milk. In general,pregnant women are advised to eat hard cheeses rather than soft cheeses. However, pasteurized soft cheeses such as cream cheese are safe to eat even during pregnancy.
 
Additionally, soft cheeses may be subject to spoilage at a temperature of 40°F or more or if stored at an appropriate temperature for an extended period. Although spoilage bacteria aren’t harmful, some molds are. Though rare, these molds can produce toxins (poisonous material) capable of migrating into the cheese. Therefore, if a soft cheese looks moldy in any part of it, all of the cheese should be discarded.
 
 
Source(s):
USDA/FDA "Listeria monocytogenes Risk Assessment Questions and Answers
USDA/FDA "Keep Your Baby Safe"